A model-free no-arbitrage price bound for variance options

DOI10.1007/S00245-013-9197-1zbMATH Open1272.93135OpenAlexW2043068947MaRDI QIDQ373003FDOQ373003

J. Frédéric Bonnans, Xiaolu Tan

Publication date: 21 October 2013

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://hal.inria.fr/inria-00634387/file/RR-7777.pdf

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zbMATH Keywords

gradient projection algorithmmodel-free price boundvariance option

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic programming (90C15)

Cites Work

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• The rate of convergence of finite-difference approximations for Bellman equations with Lipschitz coefficients
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• Optimal transportation under controlled stochastic dynamics
• The Existence of Probability Measures with Given Marginals
• Hedging variance options on continuous semimartingales
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• Exponential convergence for a convexifying equation
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• The Existence of Certain Stopping Times on Brownian Motion

Cited In (18)

• The maximum maximum of a martingale with given \(n\) marginals
• Arbitrage-free market models for option prices: the multi-strike case
• Model-independent bounds for option prices -- a mass transport approach
• Optimal transportation under controlled stochastic dynamics
• Title not available (Why is that?)
• An arbitrage-free approach to quasi-option value
• Distribution‐constrained optimal stopping
• Computational methods for martingale optimal transport problems
• Optimal Skorokhod embedding under finitely many marginal constraints
• On the monotonicity principle of optimal Skorokhod embedding problem
• Perturbation analysis of sub/super hedging problems
• Peacock geodesics in Wasserstein space
• A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
• Martingale Inequalities, Optimal Martingale Transport, and Robust Superhedging
• No-arbitrage bounds for the forward smile given marginals
• The weighted variance minimization for options pricing
• An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint
• A Benamou-Brenier formulation of martingale optimal transport

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